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Loss given default in SME leasing
Review of Managerial Science ( IF 7.8 ) Pub Date : 2021-09-02 , DOI: 10.1007/s11846-021-00486-5
Florian Kaposty 1 , Philipp Klein 1 , Matthias Löderbusch 1 , Andreas Pfingsten 1
Affiliation  

Leasing provides a fundamental source of firm funding, especially for small and medium-sized enterprises. A crucial difference from loans and bonds is that the lessor retains ownership rights of the leased asset during the lease term. This facilitates the asset utilization and work-out process and leads to higher liquidation proceeds. Hence, previous findings on the loan and bond loss given default (LGD) are not transferable to the leasing industry. Our analysis is based on a very granular data set covering a great variety of information on the lessee, the leased asset, as well as contractual and transactional characteristics. We examine novel LGD determinants such as an external credit rating, the lessee’s limited liability, and the number of leased assets and collaterals. Moreover, new results on previously explored factors question earlier findings, for example, on the lease contract type. Most importantly, as proposed by Miller and Töws (J Bank Finance 91:189–201, 2018), we analyze two different LGDs, one based on the asset utilization proceeds, the other on repayments. Our results clearly indicate the crucial importance of this separation when analyzing the drivers of the leasing LGD in detail because several determinants affect these LGDs in different ways. Our study assists both lessors and regulators in assessing the effective risk of lease contracts and enables lessors to enhance their risk management and work-out processes.



中文翻译:

中小企业租赁违约损失

租赁提供了企业资金的基本来源,尤其是对中小企业而言。与贷款和债券的一个重要区别是出租人在租赁期内保留租赁资产的所有权。这有利于资产利用和解决过程,并导致更高的清算收益。因此,之前关于贷款和债券违约损失 (LGD) 的调查结果不能转移到租赁行业。我们的分析基于非常精细的数据集,涵盖了有关承租人、租赁资产以及合同和交易特征的各种信息。我们研究了新的 LGD 决定因素,例如外部信用评级、承租人的有限责任以及租赁资产和​​抵押品的数量。而且,关于先前探索的因素的新结果质疑先前的研究结果,例如租赁合同类型。最重要的是,正如 Miller 和 Töws (J Bank Finance 91:189–201, 2018) 所提出的,我们分析了两种不同的 LGD,一种基于资产利用收益,另一种基于还款。我们的结果清楚地表明,在详细分析租赁 LGD 的驱动因素时,这种分离至关重要,因为几个决定因素以不同的方式影响这些 LGD。我们的研究有助于出租人和监管机构评估租赁合同的有效风险,并使出租人能够加强其风险管理和解决流程。一种基于资产使用收益,另一种基于还款。我们的结果清楚地表明,在详细分析租赁 LGD 的驱动因素时,这种分离至关重要,因为几个决定因素以不同的方式影响这些 LGD。我们的研究有助于出租人和监管机构评估租赁合同的有效风险,并使出租人能够加强其风险管理和解决流程。一种基于资产使用收益,另一种基于还款。我们的结果清楚地表明,在详细分析租赁 LGD 的驱动因素时,这种分离至关重要,因为几个决定因素以不同的方式影响这些 LGD。我们的研究有助于出租人和监管机构评估租赁合同的有效风险,并使出租人能够加强其风险管理和解决流程。

更新日期:2021-09-03
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